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Results tagged with cds
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user 9265
Credit Default Swap or CDS - a type of swap which purpose is transferring the credit exposure of fixed income products between parties. It works like an insurance policy, where protection buyer who makes fixed periodic payments, and a protection seller, who collects the premium in exchange for making the protection buyer whole in case of default. Most of CDSs are traded via OTC as single derivatives or index derivatives like iTraxx / Markit CDX
2
votes
Accepted
CVA as a running spread - risk annuity calculation in the Monte Carlo framework
This only produces an approximation. As per Gregory (page 256)
However, adding a spread to a contract such as a swap, the problem is
non-linear since the spread itself will have an impact on th …
- 1,549
0
votes
1
answer
350
views
Explain equation to calculate CDS spread
I've come across this equation in a text and can't figure out what part of it is doing.
(Using quarterly installments)
$\frac{1}{4*10^4}s^t \sum\limits_{u=1}^{4t} p_{0.25u}[(1-\pi_{0.25u}) + \frac{ …
- 1,549
0
votes
2
answers
1k
views
How does tranching cause leverage?
I've read that leverage is created with the tranches of a CDS index because the more junior tranches have more risk than the index. …
- 1,549